Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0386
Annualized Std Dev 0.3856
Annualized Sharpe (Rf=0%) -0.1000

Row

Daily Return Statistics

Close
Observations 3267.0000
NAs 1.0000
Minimum -0.1495
Quartile 1 -0.0115
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean -0.0002
Quartile 3 0.0129
Maximum 0.2059
SE Mean 0.0004
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0010
Variance 0.0006
Stdev 0.0243
Skewness 0.0042
Kurtosis 6.3794

Downside Risk

Close
Semi Deviation 0.0174
Gain Deviation 0.0169
Loss Deviation 0.0179
Downside Deviation (MAR=210%) 0.0219
Downside Deviation (Rf=0%) 0.0173
Downside Deviation (0%) 0.0173
Maximum Drawdown 0.7748
Historical VaR (95%) -0.0372
Historical ES (95%) -0.0577
Modified VaR (95%) -0.0367
Modified ES (95%) -0.0559
From Trough To Depth Length To Trough Recovery
2010-11-05 2020-10-30 NA -0.7748 2610 2514 NA
2008-08-05 2008-11-20 2010-01-07 -0.6894 360 77 283
2008-05-20 2008-07-02 2008-07-30 -0.2457 50 31 19
2010-04-15 2010-06-07 2010-09-13 -0.1854 105 37 68
2010-01-20 2010-02-25 2010-04-05 -0.1665 52 26 26

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA 8 0 1.8 -6.7 1.3 -1.5 -2.6 5 -12.1 2.4 -5.8
2009 -2 4.6 6.2 2.2 4 1.2 0.3 -3.2 -3.2 -7 3.5 1.7 7.8
2010 5.1 2.7 2.2 -0.9 -3 0.9 0 2.6 -0.2 0.7 3.1 -0.2 13.4
2011 4.1 -5.4 3.1 2 -1.1 1.2 -0.6 -1.5 -2.5 -3.2 -2.9 -0.6 -7.6
2012 5.4 1.2 1.4 0.3 -0.7 3.4 -0.9 2.5 0.8 1.8 0.4 1.2 17.9
2013 2.5 1.6 0.6 -0.7 -2.2 -0.5 1.7 -0.3 4.7 -2.1 1.1 -0.8 5.4
2014 -0.1 0.3 2.6 0.6 -1 -2 0.7 -1.2 -2.2 -0.8 0.2 0.8 -2.2
2015 -2.4 -2.6 0.1 -0.1 -2.9 -0.8 3.3 -3.8 -0.6 3.5 2.4 -1.8 -5.9
2016 -0.5 3.2 -0.3 0.7 -0.4 0.3 0.5 0.6 0.3 -2.6 -4 -0.9 -3.2
2017 0.5 2.2 -0.1 -0.3 0.6 0.7 -1.5 1.9 0.1 1.6 0.7 0.2 6.7
2018 0.4 -1 3.8 -1.5 -3.8 0.3 -3.1 1.5 0.3 4.1 -1.1 -0.5 -0.9
2019 -1.8 -1.6 2.2 -1 1.9 6 -1.6 0.6 -2.1 0.6 0.6 0 3.5
2020 -0.8 -2.6 -4.3 -3.9 2.8 0 0.4 0.9 0.7 -2.5 3.1 -0.7 -7
2021 4 4.9 0.7 NA NA NA NA NA NA NA NA NA 9.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2008-03-28  47.6 SPY    132. -0.00960  -0.0043  -0.0485  -0.121   -0.0727    0.121    0.510 GLD    91.9 -0.0169    0.0219
2 2008-03-31  46.4 SPY    132.  0.0035   -0.0204  -0.0358  -0.106   -0.0704    0.132    0.514 GLD    90.4 -0.016     0.0034
3 2008-04-01  50.1 SPY    137.  0.0352    0.0131   0.0208  -0.0726  -0.038     0.156    0.576 GLD    86.9 -0.0393   -0.0633
4 2008-04-02  50.5 SPY    137.  0.0007    0.0263   0.024   -0.065   -0.0384    0.159    0.613 GLD    89.3  0.0277   -0.0483
5 2008-04-03  49.6 SPY    137.  0.0025    0.0321   0.0305  -0.0544  -0.0463    0.167    0.593 GLD    89.4  0.0017   -0.0432
6 2008-04-04  50.8 SPY    137. -0.0011    0.0409   0.0229  -0.055   -0.0484    0.164    0.553 GLD    90.2  0.00930  -0.0177
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart